The effect of the nature of the pore-forming agent (polyethylene glycol, ethylene glycol, diethylene glycol, glycerol) on the structure and performance of hollow fiber membranes spun from polysulfone solutions in N,N-dimethylacetamide was studied. The membranes have been characterized using various methods (determination of gas permeability and water entry pressure, scanning electron microscopy, contact angle measurement). To increase the hydrophobicity of the selective layer of hollow fibers, a procedure for applying a modifying polydimethylsiloxane layer onto the inner surface of the fiber has been developed, which has made it possible to increase the contact angle from 75°–77° to 115°–151° with retaining their gas transport properties. The composite membranes designed hold promise for use in gas–liquid membrane contactors, and hydrophobized membranes with reduced gas permeability can be used for hydrophobic pervaporation.